plot_sigma_scaling: Sigma Scaling Plotter

In lucas-castillo/SampleR: Tools To Compare Human Performance To Sampling Algorithms

Description

Plots a scaling of the sd in the distribution of price changes across time lags and returns the value of the slope

Usage

plot_sigma_scaling(chain, plot = TRUE)

Arguments

chain	Vector of n length, where n is the number of trials or sampler iterations
plot	Boolean. Whether to return a plot or the elements used to make it.

Details

Markets show sigma scaling exponents around 0.5.

Value

If plot is true, a sigma scaling plot. If false, a vector with the standard deviations at each lag

Examples

target <- distr::Norm()
pd_func <- make_distr_pdf(target)
chain1 <- sampler_mcmc(pd_func, 0, sigma_prop = 1)
plot_sigma_scaling(chain1[[1]])

set.seed(1)
target <- distr::Norm()
pd_func <- make_distr_pdf(target)
chain1 <- sampler_mcmc(pd_func, 0, sigma_prop = 1)
plot_sigma_scaling(chain1[[1]], plot = FALSE)

lucas-castillo/SampleR documentation built on Jan. 1, 2021, 8:25 a.m.